Stability of traveling wave solutions in a credit rating migration free boundary problem

DOI10.1137/23m1628061MaRDI QIDQ6664428

Luca Lorenzi, Yuchao Dong, Claude-Michel Brauner, Jin Liang

Publication date: 16 January 2025

Published in: SIAM Journal on Mathematical Analysis (Search for Journal in Brave)

zbMATH Keywords

stabilitytraveling wavesfree boundary problemscredit rating migrationfully nonlinear parabolic problems

Mathematics Subject Classification ID

Stability in context of PDEs (35B35) Singular perturbations in context of PDEs (35B25) Derivative securities (option pricing, hedging, etc.) (91G20) Free boundary problems for PDEs (35R35) Traveling wave solutions (35C07)

Cites Work

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• Asymptotic traveling wave solution for a credit rating migration problem
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• Stability analysis and Hopf bifurcation at high Lewis number in a combustion model with free interface
• Instabilities in a combustion model with two free interfaces
• A free boundary problem for corporate bond with credit rating migration
• Semigroups of Bounded Operators and Second-Order Elliptic and Parabolic Partial Differential Equations
• Double free boundary problem for defaultable corporate bond with credit rating migration risks and their asymptotic behaviors

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